TEMPORAL DEPENDENCE IN ASSET PRICING-MODELS

被引：2
|
作者：
TURTLE, HJ
机构：
[1] Faculty of Management, University of Manitoba, Winnipeg
来源：
ECONOMICS LETTERS | 1994年 / 45卷 / 03期
关键词：
D O I：
10.1016/0165-1765(94)90038-8
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Estimating and testing conditional models in an unconditional statistical context often results in model disturbances that display temporal dependence. This paper presents an economic explanation for temporal dependence found in disturbances of financial returns in many studies.
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页码：361 / 366
页数：6
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